Diagonally drift-implicit Runge-Kutta methods of strong order one for stiff stochastic differential systems
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Publication:747917
DOI10.1016/j.cam.2015.02.036zbMath1329.65014OpenAlexW1992178860MaRDI QIDQ747917
Andreas Rößler, Amir Haghighi, Mohammed Hosseini Ali Abadi
Publication date: 19 October 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.02.036
Related Items
Split-step double balanced approximation methods for stiff stochastic differential equations ⋮ Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations ⋮ An explicit order 2 scheme for the strong approximation of Stratonovich stochastic differential equations with scalar noise ⋮ Unnamed Item ⋮ Mean-square stability of 1.5 strong convergence orders of diagonally drift Runge-Kutta methods for a class of stochastic differential equations ⋮ Asymptotic mean-square stability of weak second-order balanced stochastic Runge-Kutta methods for multi-dimensional Itô stochastic differential systems ⋮ Study on split-step Rosenbrock type method for stiff stochastic differential systems
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